Multidimensional Yamada-Watanabe theorem and its applications to particle systems - Archive ouverte HAL Accéder directement au contenu
Article Dans Une Revue Journal of Mathematical Physics Année : 2013

Multidimensional Yamada-Watanabe theorem and its applications to particle systems

(1) , (2)
1
2

Résumé

We prove a multidimensional version of the Yamada-Watanabe theorem, i.e., a theorem giving conditions on coefficients of a stochastic differential equation for existence and pathwise uniqueness of strong solutions. It implies an existence and uniqueness theorem for the eigenvalue and eigenvector processes of matrix-valued stochastic processes, called a “spectral” matrix Yamada-Watanabe theorem. The multidimensional Yamada-Watanabe theorem is also applied to particle systems of squared Bessel processes, corresponding to matrix analogues of squared Bessel processes, Wishart and Jacobi matrix processes. The β-versions of these particle systems are also considered.

Fichier principal
Vignette du fichier
ua10324.pdf (543.6 Ko) Télécharger le fichier
Origine : Fichiers éditeurs autorisés sur une archive ouverte

Dates et versions

hal-03038367 , version 1 (03-12-2020)

Identifiants

Citer

Piotr Graczyk, Jacek Małecki. Multidimensional Yamada-Watanabe theorem and its applications to particle systems. Journal of Mathematical Physics, 2013, 54 (2), pp.021503. ⟨10.1063/1.4790507⟩. ⟨hal-03038367⟩
27 Consultations
65 Téléchargements

Altmetric

Partager

Gmail Facebook Twitter LinkedIn More